[R] Subject: glm and stepAIC selects too many effects

[Ravi Varadhan]

More principled would be to use a lasso-type approach, which combines selection and estimation in one fell swoop!



Ravi

________________________________
From: Ravi Varadhan
Sent: Tuesday, June 6, 2017 10:16 AM
To: r-help at r-project.org
Subject: Subject: [R] glm and stepAIC selects too many effects


If AIC is giving you a model that is too large, then use BIC (log(n) as the penalty for adding a term in the model).  This will yield a more parsimonious model.  Now, if you ask me which is the better option, I have to refer you to the huge literature on model selection.

Best,

Ravi

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